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Three Essays on Central European Foreign Exchange Markets
Název práce v češtině: Tři eseje o měnových trzích ve střední Evropě
Název v anglickém jazyce: Three Essays on Central European Foreign Exchange Markets
Klíčová slova: měny, měnový trh, FX, forex, střední Evropa, rozvíjející se trhy, CZK, HUF, PLN, česká koruna, polský zlotý, maďarský forint, volatilita, přesun volatility, DCC model, GARCH, EGARCH, Diebold Yilmaz index, Event study, makroekonomické zprávy, centrální banky, ECB, Fed, EUR/USD
Klíčová slova anglicky: foreign exchange market, emerging markets, Czech crown, Polish zloty, Hungarian forint, CZK, PLN, HUF, spillovers, volatility, DCC model, GARCH, EGARCH, Diebold Yilmaz index, comovements, macroeconomic news, central banks, FX, forex, Central Europe, Event study, ECB, Fed, EUR/USD
Akademický rok vypsání: 2014/2015
Typ práce: disertační práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: prof. Roman Horváth, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 03.11.2014
Datum zadání: 03.11.2014
Datum a čas obhajoby: 09.10.2019 00:00
Datum odevzdání elektronické podoby:07.08.2019
Datum odevzdání tištěné podoby:07.08.2019
Datum proběhlé obhajoby: 09.10.2019
Oponenti: prof. Ing. et Ing. Luboš Komárek, M.Sc., MBA, Ph.D.
  Eduard Baumohl
  Vasileios Pappas, Ph.D.
 
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Předběžná náplň práce
Dizertační práce se skládá z tří esejí, které se zabývají vybranými měnovými kurzy nových
členských zemí EU, tj. české koruny, polského zlotého a maďarského forintu. První dvě eseje zkoumají
vliv vyhlašování makroekonomických zpráv a zasedání centrálních bank na hodnotu a volatilitu
měnových kurzů (CZK/EUR, PLN/EUR, HUF/EUR, CZK/USD, PLN/USD, HUF/USD). Třetí esej se
zabývá korelacemi měnových kurzů nových členských zemí EU a přesuny volatility mezi těmito trhy a
americkým dolarem. Hlavním přínosem této práce je obohatit již existující literaturu o výsledky
zkoumání měnových trhů nových členských zemí EU v období po finanční krizi a v průběhu období
Evropské dluhové krize a měnových intervencí České národní banky (ČNB).
První esej (kapitola 2) zkoumá okamžitý vliv zveřejňování makroekonomických zpráv z
Eurozóny, Německa a USA a změn v měnové politice centrálních bank (ECB, Fed) na hodnotu
měnových kurzů nových členských zemí EU (CZK/EUR, PLN/EUR, HUF/EUR, CZK/USD,
PLN/USD, HUF/USD) v období od ledna 1999 do května 2018. Díky aplikaci metodologie Event Study
(ESM) na minutová intradenní data můžeme rovněž posoudit dočasnou efektivitu zkoumaných
měnových trhů. Výsledky ukazují, že makroekonomické zprávy z USA působí na zkoumané měnové
kurzy odlišně než zprávy z německé ekonomiky. Výsledky rovněž ukazují, že měnové kurzy mají
tendenci reagovat na některé zprávy s předstihem, tedy ještě před jejich zveřejněním.
Druhá esej (kapitola 3) analyzuje vliv vyhlašování makroekonomických zpráv z Německa a
změny v nastavení měnové politiky Evropské centrální banky (ECB) na podmíněnou volatilitu
měnových kurzů české koruny, polského zlotého a maďarského forintu v letech 2010-2015 pomocí
modelu EGARCH. Výsledky demonstrují, že vybrané makroekonomické ukazatele ovlivňují
podmíněnou volatilitu měnových kurzů. Tato kapitola rovněž zkoumá období měnových intervencí
v České republice. ČNB držela v období od listopadu 2013 do dubna 2017 kurz CZK/EUR poblíž
hodnoty 27,00, čímž klesla volatilita měnového kurzu a následně se snížil vliv německých zpráv na
volatilitu měnového páru CZK/EUR.
Třetí esej (kapitola 4) zkoumá podmíněné korelace měnových kurzů nových členských zemí EU
s americkým dolarem a přesuny volatility na těchto trzích v období od ledna 1999 do května 2018.
Výsledky korelací následně aplikujeme v portfolio managementu, kde počítáme tzv. “hedge ratios“ a
“portfolio weights“ jednotlivých měnových kurzů. Demonstrujeme, že podmíněná korelace měnových
kurzů nových členských zemí EU s americkým dolarem klesá k záporným hodnotám v období
turbulencí, což dělá z těchto aktiv vhodný instrument pro diverzifikaci portfolia, avšak za vyšší cenu
než v období, kdy jsou trhy klidné. K přesunu volatility na měnových trzích dochází hlavně v období
tržných turbulencí. V tomto období sehrává při přesunu volatility klíčovou roli maďarský forint.
Předběžná náplň práce v anglickém jazyce
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks’ monetary policy settings on the value and volatility of examined
exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the
Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic).
The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news
announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states’ currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic
announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We
also provide evidence of leaking news, showing that FX markets react even before the news is announced.
The second essay (Chapter 3) analyses the impact of German macroeconomic news announcements and ECB meeting days on the conditional volatility of the Czech, Polish, and Hungarian foreign exchange markets
over six years (2010–2015) by employing EGARCH model. The analysis shows that new EU FX rates react differently to news coming from US and Germany/Eurozone.
The third essay (Chapter 4) analyzes time-varying exchange rate comovements, hedging ratios and
volatility spillovers on the new EU forex markets during 1999M1-2018M5. We find significant differences in
the extent of currency comovements during various periods of market distress that are related to real economic
and financial events. This implies favorable diversification benefits; the hedge-ratio calculations show all three currencies bring hedging benefits during crisis periods, but at higher costs. During calm periods, most of the
volatilities are explained by own-currency volatility. During the distress periods, volatility spillovers among
currencies increase substantially and the Hungarian currency takes a leading role in transmission mechanism.
 
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